Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0285
Annualized Std Dev 0.2920
Annualized Sharpe (Rf=0%) -0.0977

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.1420
Quartile 1 -0.0070
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0077
Maximum 0.2830
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0184
Skewness 0.9631
Kurtosis 28.9138

Downside Risk

Close
Semi Deviation 0.0129
Gain Deviation 0.0148
Loss Deviation 0.0146
Downside Deviation (MAR=210%) 0.0173
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.7089
Historical VaR (95%) -0.0254
Historical ES (95%) -0.0433
Modified VaR (95%) -0.0141
Modified ES (95%) -0.0141
From Trough To Depth Length To Trough Recovery
1999-07-12 2020-03-19 NA -0.7089 5457 5204 NA
1999-01-22 1999-04-12 1999-07-09 -0.1064 117 55 62
1999-01-06 1999-01-06 1999-01-07 -0.0110 2 1 1
1999-01-13 1999-01-13 1999-01-15 -0.0109 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 0 -0.6 -0.6 -0.6 0.6 0 0.6 -0.6 -0.6 0.6 2.4 1.8
2000 0.6 -3.3 1.3 3.4 -0.7 1.3 1.9 0 0.6 0.7 -2 0.7 4.6
2001 1.8 1 1 2.4 0.5 0.9 0.9 -0.5 -3.6 0.9 2.5 -0.9 7
2002 0.5 0.9 0.1 1.2 -1.3 6.2 4.4 0.5 -2.4 0 -0.8 0.8 10.3
2003 1.1 0.3 1.8 -1.3 -0.1 0 -1 0.7 1.1 0.3 -0.5 0.3 2.7
2004 4.1 -0.8 0.4 -4 0.9 -0.1 3.5 1.2 0.4 0.2 -1 0.3 5.1
2005 0.7 1.9 -0.1 -1.2 -1.3 -2 0 1 0.4 -1.5 1.1 0.1 -1
2006 0.9 -1.2 0.2 -0.1 -3.3 0.5 1 -2.2 -1.9 1.3 1.1 -0.6 -4.3
2007 1.1 -0.4 0.5 0 0.4 1.6 -1.2 1.2 0.7 -1.2 1 0.3 4
2008 -0.6 0.9 2.6 3.9 -0.2 -2.4 0 -1 4 1.5 -0.3 0 8.5
2009 -4.6 3.3 -2.1 0.6 -0.8 0.4 0.2 -1.7 -0.5 -1.6 0.4 0.5 -6
2010 -0.5 -0.6 0.3 -0.8 0.7 -1.7 -0.2 1.4 0.5 0.2 0.8 1.7 1.7
2011 2.1 -1.3 -1.2 1.1 1 0.5 0.5 -0.4 -0.4 -1.9 0.5 -1.2 -0.8
2012 0.6 -0.2 3.2 0 0.2 0.7 1.2 -0.4 -1 0 -0.7 0.8 4.3
2013 1.4 0.4 -2.6 0.5 -1 1.9 3.7 0.5 -0.5 -0.3 0 -0.2 3.6
2014 -0.8 0 0.8 0.2 0.6 0.3 0 0.4 -0.7 0.8 -1.3 -2.1 -1.8
2015 -0.3 -1.1 0.9 1.4 1.3 0 0.9 -1.6 -0.6 0.8 -0.6 -1.2 -0.1
2016 0.2 0.5 -0.2 0.2 1.5 0.2 -0.6 0 -0.8 -3 -0.4 -0.2 -2.6
2017 -0.2 1.3 -1 1.2 1.2 1.4 0.4 1.9 1.7 -0.1 -0.5 1.9 9.5
2018 1.5 -1.2 0.9 -4.4 -0.3 1.6 -0.5 0.3 0 1.2 1.5 0.9 1.4
2019 -0.4 0.4 0.2 -0.4 -1 -0.2 -0.6 0.4 -0.2 1.3 1 0.5 1
2020 2.2 -5.6 -10.3 -2.7 1.5 0.6 -0.4 -0.7 0.7 -2.5 0.5 0.3 -15.8
2021 2.3 1.9 0 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  11.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  11.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  11.2 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  11.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  11.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  11.5 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart